R Packages

The tsmodels repo comprises the following packages, all of which are currently on github and slowly making it to CRAN:

Package	Repository	Description
tsmethods	CRAN	Generic methods for use in a time series probabilistic framework, allowing for a common calling convention across packages. Additional methods for time series prediction ensembles and probabilistic plotting of predictions is included.
tsdistributions	CRAN	Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Includes various distributions such as Normal, Student, GED, etc.
tsarma	Github	Autoregressive Moving Average Models. Estimation, filtering, prediction, simulation and diagnostics.
tsgarch	CRAN	GARCH models with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, and statistical testing.
tsmarch	CRAN	Multivariate ARCH models including DCC, Copula GARCH, and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. Works with the tsgarch package.
tstests	CRAN	Goodness of Fit and Forecast Evaluation Tests for time series models. Includes various tests for value at risk and expected shortfall evaluation.
RcppBessel	CRAN	Exports an ‘Rcpp’ interface for Bessel functions in the ‘Bessel’ package, callable from ‘C++’ code of other packages.
tsdatasets	Github	Sample time series datasets.
tssimulator	Github	Easy generation of random time series under various dynamics and mixtures.
tsaux	Github	General-purpose calendar and auxiliary functions, including outlier detection and transformations.
tsets	Github	Exponential Smoothing (ETS) models. Estimation, prediction, simulation, and inference.
tsissm	Github	Unobserved Components Model using the Linear Innovation State Space representation.
tsvets	Github	Vector Exponential Smoothing Models. Estimation with automatic differentiation.
tsforeign	Github	Wrappers for models in other packages to conform to the unified time series framework.
tsgam	Github	Wrappers for GAM models in the ‘mgcv’ package.
tscausal	Github	Time Series based causal inference using any predictive distribution.
parma	CRAN	Provides models and methods for capital allocation in financial portfolios. Implements fractional-based programming for risk-to-reward ratio optimization.
Rsolnp	CRAN	General non-linear optimization using the Augmented Lagrange Multiplier method.

There are still some packages which have yet to be migrated to Github from my old bitbucket account including the twinkle (STARMA), dbm (dynamic binary model) and racd (autoregressive conditional density) packages. These currently may not even build as they have not been updated in over a decade.